東吳證券研究所東吳證券研究所內容目錄TOC\o"1-2"\h\z\u前言 4傳統特質波動率因子 4特質波動率因子的計算與回測 4特質波動率因子與換手率因子的相關性 6特質波動率因子小結 7波動聚集：波動率因子的時序和截面相關性 7剔除跨期截面相關性：純真波動率因子 8純真波動率因子的構建與回測 8純真波動率因子與換手率因子的相關性 10純凈純真波動率因子的表現 純真波動率因子小結 13其他重要討論 13純真波動率因子的參數敏感性 13新舊因子的多頭、空頭超額對比 15新舊因子的月度換倉率對比 15其他樣本空間的情況 166.總結 16風險提示 162/17東吳證券研究所東吳證券研究所圖表目錄圖1：傳統特質波動率因子的10分組及多空對沖凈值走勢圖 5圖2：的10分組及多空對沖凈值走勢 6圖3：萬得全A指數每日收益率：波動聚集性（2005/01/01-2023/06/30） 7圖4：特質波動率因子的平均時序、截面相關系數（2005/01/01-2023/06/30） 8圖5：純真波動率因子的10分組及多空對沖凈值走勢 9圖6：新舊因子正交換手后的10分組多空對沖凈值走勢 圖7：純凈純真波動率因子的10分組及多空對沖凈值走勢 12圖8：傳統、純真波動率因子多空對沖的信息比率、月度勝率（滯后階數N不同取值） 13圖9：新舊因子多頭換倉率對比 15圖10：新舊因子空頭換倉率對比 15表1：傳統特質波動率因子的分年度表現 5表2：、Turn20、因子的選股效果對比 6表3：純真波動率因子的分年度表現 10表4：純真波動率因子與常用Barra風格因子的相關系數 表5：純凈純真波動率因子的分年度表現 12表6：純真因子、傳統因子的選股效果對比 13表7：傳統、純真波動率因子的選股效果（滯后階數N不同取值） 14表8：傳統、純真波動率因子正交換手后的選股效果（滯后階數N不同取值） 14表9：新舊因子的多頭、空頭超額對比 15表10：滬深300、中證500成分股中新舊因子的選股效果對比 163/17東吳證券研究所前言東吳證券研究所Angetal.[1]2006TheCross-SectionofandExpected20年5月8日《“波動率選股因子”系列研究（一：2023630傳統特質波動率因子特質波動率因子的計算與回測全體AST60，2005/01/01-2023/06/30每月月底，回溯所有股票過去20個交易日的數據，每只股票都根據French????,??=????,??+????,??????????+????,??????????+????,??????????+????,??其中，t1,2,3,……,20；????????tA????????t1/31/3????????tPB最1/3PB1/3部??,??it20Fama-French三因子_o（dosynacoatyC0.051RakC.08，4/17東吳證券研究所ICIR為-1.57，RankICIR為-2.35，1019.61%1.2868.33%19.55%20102013東吳證券研究所圖1：傳統特質波動率因子ID_Vol的10分組及多空對沖凈值走勢圖60 30分組1分組1分組4分組7分組10分組2分組5分組8 分組1-分組10(右軸)分組3分組6分組940 2030 1520 1010 50 02005 2007 2009 2011 2013 2015 2017 2019 2021 2023數據來源：資訊，表1：傳統特質波動率因子ID_Vol的分年度表現年化收益率分組1對沖分組10績效指標年份分組1分組10分組1對沖分組10年化波動率信息比率月度勝率最大回撤率20052.20%-9.61%10.28%10.16%1.0166.67%6.55%2006116.90%78.76%20.67%15.67%1.3266.67%9.50%2007141.68%80.28%30.30%14.00%2.1775.00%4.19%2008-41.02%-54.04%18.74%11.50%1.6358.33%2.99%2009124.03%67.63%32.39%11.24%2.8883.33%5.34%20107.58%2.63%3.01%11.02%0.2766.67%7.62%2011-22.29%-38.06%21.76%10.92%1.9975.00%2.42%20128.15%-12.11%19.23%10.95%1.7675.00%5.90%201312.34%34.32%-18.79%17.48%1.0858.33%7.62%201470.52%20.15%40.75%12.07%3.3883.33%3.97%201541.04%2.88%21.60%23.29%0.9266.67%12.81%201633.66%4.27%25.46%13.80%1.8375.00%3.15%2017-7.01%-37.76%45.84%8.31%5.5491.67%0.04%2018-23.98%-44.10%32.59%11.69%2.8066.67%3.45%201921.18%17.30%-1.23%17.12%-0.0758.33%12.11%202013.69%-3.14%12.15%21.80%0.5550.00%8.52%202129.16%-7.55%34.53%20.95%1.6458.33%13.71%5/17東吳證券研究所東吳證券研究所202214.69%-18.65%35.77%14.96%2.3983.33%6.69%2023（6月底）5.44%10.86%-5.46%9.04%-0.6060.00%4.03%數據來源：資訊，特質波動率因子與換手率因子的相關性20Turn200.52對換手率因子Turn20????_????????=??+??????????20??+????。同樣以全體A2005/01/01-2023/06/30IC-0.020，RankICICIR為，年化RankICIR為56.56%，28.81%2展示了102、Turn20、圖2：ID_Vol_deTurn20的10分組及多空對沖凈值走勢40 3.5分組1分組分組1分組4分組7分組10分組2分組5分組8分組1-分組10(右軸)分組3分組6分組930 2.5252201.51510 15 0.50 02005 2007 2009 2011 2013 2015 2017 2019 2021 2023數據來源：資訊，表2：ID_Vol、Turn20、ID_Vol_deTurn20因子的選股效果對比IC均值年化ICIR年化收益率年化波動率信息比率月度勝率最大回撤率ID_Vol-0.051-1.5719.61%15.34%1.2868.33%19.55%Turn20-0.062-2.0132.04%16.93%1.8970.14%19.39%ID_Vol_deTurn20-0.020-0.795.41%12.65%0.4356.56%28.81%數據來源：資訊，6/17東吳證券研究所特質波動率因子小結東吳證券研究所根據上述結果，我們可以對傳統波動率因子做出如下總結：整體來看，傳統特質波動率因子Turn20的選股效果不如Turn20；波動聚集：波動率因子的時序和截面相關性ContoayCuseng在于A3展示了萬得全A萬得全A圖3：萬得全A指數每日收益率：波動聚集性（2005/01/01-2023/06/30）10%5%0%-5%2005-01-042005-12-012005-01-042005-12-012006-11-012007-09-242008-08-192009-07-162010-06-092011-05-112012-04-062013-03-042014-01-282014-12-232015-11-192016-10-172017-09-052018-08-012019-07-012020-05-272021-04-212022-03-182023-02-15數據來源：資訊，A4橫坐標為計算相關系數時的滯后階數NN=17/17東吳證券研究所東吳證券研究所tt-1時刻圖4：特質波動率因子ID_Vol的平均時序、截面相關系數（2005/01/01-2023/06/30）平均時序相關性 平均橫截面相關性滯后階數N滯后階數N0.80.60.40.20-0.20 1 2 3 4 5 6 7 8 9 10 11 12數據來源：資訊，4160.0060.01，平0.20。剔除跨期截面相關性：純真波動率因子純真波動率因子的構建與回測t??2??3??4尋找純真選股信息8/17東吳證券研究所東吳證券研究所N=66????_????????,??=??+??1????_????????,???1+??2????_????????,???2+?+??6????_????????,???6+????,??t????,??純真波動率因子。A2005/01/01-2023/06/30-0.0070.01IC-0.046，RankIC-0.067ICIR為-，年化RankICIR為-2.7151019.01%11.07%1.72，70.59%10.16%320202023（6月底201520192013圖5：純真波動率因子的10分組及多空對沖凈值走勢50 30分組1分組分組1分組4分組7分組10分組2分組5分組8 分組1-分組10(右軸)分組3分組6分組9203015201010 50 02005 2007 2009 2011 2013 2015 2017 2019 2021 2023數據來源：資訊，9/17東吳證券研究所表3：純真波動率因子ID_Vol_deCorr的分年度表現東吳證券研究所年化收益率分組1對沖分組10績效指標年份分組1分組10分組1對沖分組10年化波動率信息比率月度勝率最大回撤率20055.40%-9.60%14.31%8.37%1.7158.33%2.47%2006135.15%97.31%19.93%13.05%1.5375.00%6.26%2007137.95%84.87%25.29%11.05%2.2975.00%3.92%2008-39.80%-55.08%29.05%7.42%3.9291.67%2.34%2009131.13%77.65%29.54%10.29%2.8783.33%4.71%201017.81%3.11%13.90%9.24%1.5066.67%3.04%2011-24.53%-33.98%13.95%7.76%1.8066.67%4.27%201214.00%-11.05%27.70%4.82%5.7583.33%0.15%201322.82%31.36%-5.83%9.09%0.5650.00%5.62%201465.15%27.85%29.41%10.65%2.7675.00%3.42%201543.14%-1.06%36.41%17.60%2.0766.67%6.79%201635.14%7.80%25.54%9.84%2.5775.00%0.84%2017-14.53%-31.46%23.83%6.58%3.6275.00%0.67%2018-31.01%-38.43%11.65%5.43%2.1566.67%1.69%201930.60%15.52%10.83%10.15%1.0766.67%4.73%20207.41%5.21%-0.26%15.87%-0.0258.33%10.16%202132.09%5.20%24.27%11.10%2.1866.67%7.35%202221.05%-16.83%42.91%12.27%3.4983.33%5.34%2023（6月底）-4.28%13.80%-17.17%10.27%-1.6760.00%1.51%數據來源：資訊，純真波動率因子與換手率因子的相關性0.40610/17東吳證券研究所東吳證券研究所圖6：新舊因子正交換手后的10分組多空對沖凈值走勢純真波動率正交換手 傳統特質波動率正交換手543212005-02-012006-08-012008-02-012009-08-012011-02-012012-08-012014-02-012015-08-012017-02-012018-08-012020-02-012021-08-012023-02-0102005-02-012006-08-012008-02-012009-08-012011-02-012012-08-012014-02-012015-08-012017-02-012018-08-012020-02-012021-08-012023-02-01數據來源：資訊，純凈純真波動率因子的表現A4展示了純真波動率因子與常用Barra風表4：純真波動率因子與常用Barra風格因子的相關系數純真波動率因子純真波動率因子Beta0.0163Liquidity0.1936BooktoPrice-0.1571Momentum0.0544EarningYield-0.1044NonlinearSize0.0259Growth0.0112ResidualVolatility0.2845Leverage-0.0306Size-0.00007數據來源：資訊，Barra風格和3071057.84%1.5166.06%12.14%11/17東吳證券研究所圖7：純凈純真波動率因子的10分組及多空對沖凈值走勢東吳證券研究所32 10分組1分組1分組4分組7分組10分組2分組分組分組1-分組10(右軸)分組3分組分組82420 61612 48240 02005 2007 2009 2011 2013 2015 2017 2019 2021 2023數據來源：資訊、表5：純凈純真波動率因子的分年度表現年化收益率分組1對沖分組10績效指標年份分組1分組10分組1對沖分組10年化波動率信息比率月度勝率最大回撤率20051.65%-4.62%7.21%4.59%1.5758.33%3.52%2006127.14%99.21%15.04%8.06%1.8775.00%2.72%2007119.90%87.37%17.85%10.02%1.7866.67%3.59%2008-42.36%-51.88%18.64%6.50%2.8783.33%2.08%2009126.32%81.09%26.71%6.95%3.8483.33%1.14%201013.51%3.87%9.38%6.43%1.4666.67%3.24%2011-28.18%-34.56%10.07%5.72%1.7675.00%2.85%20129.37%-9.59%21.41%4.78%4.4891.67%1.15%201328.37%31.30%-1.15%5.46%-0.1750.00%4.20%201456.96%33.19%18.71%6.78%2.7658.33%0.82%201540.90%4.63%35.01%9.64%3.6375.00%2.56%201626.62%13.33%12.37%7.91%1.5366.67%4.54%2017-22.03%-30.01%11.51%7.40%1.5566.67%4.45%2018-31.12%-35.49%6.64%4.03%1.6566.67%1.36%201930.17%20.33%7.80%4.09%1.9250.00%1.98%20202.15%9.78%-8.28%10.74%0.7366.67%6.65%202118.62%14.37%3.34%7.45%0.4458.33%7.42%202213.04%-9.73%24.97%8.37%2.9875.00%2.37%2023（6月底）-4.80%14.55%-18.22%8.93%-2.0460.00%1.23%數據來源：資訊，12/17純真波動率因子小結在每月選股時簡單樸素的回歸方案能有效去除這些干擾。6ICICIR、表6：純真因子、傳統因子的選股效果對比IC均值年化ICIR年化收益年化波動信息比率月度勝率最大回撤與換手率相關系數傳統因子-0.051-1.5719.61%15.34%1.2868.33%19.55%0.52純真因子-0.046-1.8519.01%11.07%1.7270.59%10.16%0.40傳統因子正交換手-0.020-0.785.41%12.65%0.4356.56%28.81%-純真因子正交換手-0.021-1.047.85%9.78%0.8061.09%17.97%-數據來源：資訊，其他重要討論純真波動率因子的參數敏感性N68N0245分7CCR=0圖8：傳統、純真波動率因子多空對沖的信息比率、月度勝率（滯后階數N不同取值）

信息比率（左軸） 月度勝率（右軸）N=6滯后階數N0 2 4 6 8 10 12 14 16 18 20 22 N=6滯后階數N

100%90%80%70%60%東吳證券研究所東吳證券研究所數據來源：資訊，13/17東吳證券研究所東吳證券研究所表7：傳統、純真波動率因子的選股效果（滯后階數N不同取值）IC均值年化ICIR年化收益率年化波動率信息比率月度勝率最大回撤率N=0-0.053-1.6121.81%15.68%1.3966.52%19.93%N=1-0.041-1.5516.82%11.96%1.4169.68%12.18%N=3-0.044-1.7419.17%11.50%1.6771.04%11.24%N=6-0.046-1.8519.01%11.07%1.7270.59%10.16%N=9-0.043-1.7817.81%11.36%1.5771.49%11.18%N=12-0.042-1.6517.90%11.93%1.5069.68%12.21%N=18-0.036-1.3414.15%13.31%1.0668.33%39.66%N=24-0.039-1.4117.53%13.36%1.3167.87%16.37%數據來源：資訊，N12時，選N3NA率的波動聚集性確實在N=128N因子的選股效果也能在N12表8：傳統、純真波動率因子正交換手后的選股效果（滯后階數N不同取值）IC均值年化ICIR年化收益率年化波動率信息比率月度勝率最大回撤率N=0-0.023-0.918.26%12.40%0.6760.63%24.99%N=1-0.017-0.805.10%10.06%0.5157.92%22.62%N=3-0.020-0.997.74%9.89%0.7861.54%17.83%N=6-0.021-1.047.85%9.78%0.8061.09%17.97%N=9-0.020-1.007.41%9.65%0.7761.54%14.39%N=12-0.019-0.917.43%10.78%0.6961.54%16.78%N=18-0.014-0.633.46%12.04%0.2959.28%47.31%N=24-0.018-0.735.96%11.93%0.5057.47%18.44%數據來源：資訊，14/17新舊因子的多頭、空頭超額對比9表9：新舊因子的多頭、空頭超額對比年化收益率年化波動率信息比率月度勝率最大回撤率多空對沖傳統特質波動率因子19.61%15.34%1.2868.33%19.55%純真波動率因子19.01%11.07%1.7270.59%10.16%多頭超額傳統特質波動率因子8.73%11.94%0.7357.01%24.60%純真波動率因子10.59%14.83%0.7157.47%37.43%空頭超額傳統特質波動率因子8.50%17.11%0.5054.30%30.93%純真波動率因子5.28%15.11%0.3553.85%31.89%數據來源：資訊，新舊因子的月度換倉率對比91064.31%92.17%